factors. A two-step estimation strategy is presented, which is based on principal components in differences in a first step …. The methods are applied to the estimation of paid and unpaid overtime work as well as flows on working-time accounts in …

model framework uses a novel covariance matrix specification. Model estimation and real-time filtering of the latent …

variables. This paper analyses the empirical consequences on factor estimation, in-sample predictions and out …

version of the D6 Factor that improves upon the original model in several ways. While the original D6 based its estimation on … estimation period by a decade. These changes provide the updated model with substantially more information while reducing the … noise in the estimation. -- coincident index ; dynamic factor model …

some variable equations be of more importance during the estimation process. We derive the asymptotic properties of the … the weighted estimation method in a Monte Carlo study to investigate the effect of differen t choices for the weights in …

momentum strategy. The estimation of this modeling and strategy approach can be done using an extended and modified version of …

estimation of the state vector and of the time-varying parameters. We use this method to study the timevarying relationship …